To add to @Alex's answer: the 'hollow' arrows themselves (the figures containing › or ») are the actual 'important' indicators. They are yellow/gold-colored if Gmail considers the message important, and are empty (white color fill) when unimportant by Gmail's algorithms. This only to point out that the personal level indicators and the importance indicators are two separate options, but appear in the UI as one combined option.

This importance mechanism can also be turned on/off in GMail Settings - Inbox.